Blame the models

By Jón Dańıelsson. 2008

136 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f6b7e9e87d0e49b77f423be682d2a001dee49d94

Citations in the corpus

• Stress-Testing Macro Stress Testing: Does it Live Up to Expectations? (2012, unknown): “Arguably, measurement models built on these statistical relationships will break down in precisely the scenarios that they aim to capture beforehand – a problem that applies to many financial time series more generally (Danielsson (2008)).”
• Uncertainty, Risk, and the Financial Crisis of 2008 (2014, unknown): “See Danielsson 2008; and Derman 2012.”
• Towards an operational framework for financial stability : "fuzzy" measurement and its consequences (2009, unknown): “Arguably, measurement models built on these statistical relationships will break down in precisely those scenarios that they aim to capture beforehand – a problem which is present for many financial times series more generally (see also Danielsson (2008)).”